Study: Buy ITC when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ITC when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ITC at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
137829.5844212347.734504.4526843.96-2467.99-9916.461.831.670.031859.76
210064.2444202445.454588.432246-3404.32-11524.261.351.120.0071228.73
39130.3444212347.735544.7139476.42-4665.59-19157.841.191.090.005207.51
4-1602.5944182640.916095.1341845-4281.35-12814.581.420.99-0.0009-36.42
5-3188.6144212347.735673.0934656.14-5318.41-13733.451.070.97-0.0019-72.47
617261.1144202445.456623.4634573.03-4800.34-16053.281.381.150.0097392.3
720238.9244202445.456456.2124267.61-4536.89-16133.621.421.190.012459.98
814896.3444182640.917855.5829752.75-4865.54-16654.821.611.120.0081338.55
99870.5944172738.648074.5626802.41-4718.41-13030.091.711.080.0057224.33
106583044182640.919538.1327342.61-4071.4-10785.522.341.620.0351496.14

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.67. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 47.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, which is low, don't trade solely on the basis of this study.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1137829.5844212347.734504.4526843.96-2467.99-9916.461.831.670.031859.76
atrtrail24.67-27152.449153430.619155.5319503.59-4837.81-10413.281.890.83-0.015-554.13
atrnil38.98-47096.9148113722.9217880.7429255.38-6588.78-14882.162.710.81-0.018-981.19
atrtrail35.08-33671.8949153430.618720.929255.38-4837.81-10413.281.80.8-0.018-687.18
atrnil27.6-49353.0748143429.1712374.6419503.59-6547-14882.161.890.78-0.023-1028.19
atrtrail-15.53-38965.9247143329.798621.0930026.84-4838.22-10413.281.780.76-0.022-829.06

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 47.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ITC Performance, X=1, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Apr 2019 (0.56%)
2018219 Oct 2018 (-0.33%), 19 Nov 2018 (-0.23%)
2017220 Mar 2017 (2.13%), 30 Jun 2017 (5.82%)
2016301 Mar 2016 (-1.78%), 02 Aug 2016 (-3.11%), 30 Aug 2016 (1.07%)
2015220 Jan 2015 (-4.96%), 06 Apr 2015 (-0.12%)
2014126 Feb 2014 (-0.33%)
2013118 Jan 2013 (1.43%)
2012311 Jul 2012 (-0.63%), 31 Jul 2012 (0.35%), 29 Aug 2012 (0.46%)
2010208 Mar 2010 (-0.08%), 24 Dec 2010 (-0.09%)
2009203 Jun 2009 (-0.22%), 23 Oct 2009 (1.73%)
2008215 Feb 2008 (3.43%), 04 Nov 2008 (-0.56%)
2007126 Jul 2007 (2.8%)
2005108 Aug 2005 (-1.37%)
2004305 Jan 2004 (-2.57%), 16 Feb 2004 (0.89%), 27 Jul 2004 (-1.49%)
2003207 Jan 2003 (0.51%), 19 May 2003 (-0.3%)
2002105 Aug 2002 (-1.97%)
2001305 Jan 2001 (-2.79%), 19 Jun 2001 (-1.51%), 05 Dec 2001 (1.22%)
2000129 Jun 2000 (-0.88%)
1999411 Feb 1999 (0.83%), 03 Mar 1999 (2.37%), 11 Nov 1999 (-0.53%), 22 Dec 1999 (2.87%)
1998203 Apr 1998 (0.04%), 20 Aug 1998 (-1.39%)
1997314 Feb 1997 (0.07%), 03 Mar 1997 (4.38%), 15 Apr 1997 (0.92%)
1996102 Feb 1996 (13.42%)
1995129 Mar 1995 (-1.16%)



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